Asset price processes are completely described by information processes and investors' preferences. In this paper we … stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals … exploit this information advantage across funds they manage, but do not share it within their fund family, consistent with … short demand signals providing an information advantage. Our results suggest a new motive for securities lending and an …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

In a continuous-time representative investor economy with an exogenously given information process, asset prices are … volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is … differences of opinion is left, and hence volatility is decreased. …